文章基本信息

标题：Non-linear Causality Between Stock Returns And Inflation Uncertainty: Evidence From The US And The UK
作者：Esin Cakan
期刊名称：International Business & Economics Research Journal
印刷版ISSN：1535-0754
电子版ISSN：2157-9393
出版年度：2013
卷号：12
期号：1
页码：63-70
语种：English
出版社：The Clute Institute for Academic Research
摘要：This study analyzes the dynamic relationships between inflation uncertainty and stock returns by employing the linear and non-linear Granger causality tests for the US and the UK. Using GARCH model to generate a measure of inflation uncertainty, it does not have a predictive power for stock returns, as predicted by Friedman, and it does not support the opportunistic central bank hypothesis suggested by Cukierman-Meltzer. However, the findings from non-linear Granger causality put forth that there is a bi-directional non-linear predictive power between these variables. Stock market is used as a hedge against inflation uncertainty.
关键词：Stock Returns;Non-linear Granger-causality;Inflation Uncertainty;Granger-causality